AUTOREG Procedure

(View the complete code for this example.)

In this example, the Grunfeld series are estimated using different estimation methods. For information about the Grunfeld investment data set, see Maddala (1977). For comparison, the Yule-Walker method, ULS method, and maximum likelihood method estimates are shown. With the DWPROB option, the p-value of the Durbin-Watson statistic is printed. The Durbin-Watson test indicates the positive autocorrelation of the regression residuals. The DATA and PROC steps follow:

title 'Grunfeld''s Investment Models Fit with Autoregressive Errors';
data grunfeld;
   input year gei gef gec;
   label gei = 'Gross investment GE'
         gec = 'Lagged Capital Stock GE'
         gef = 'Lagged Value of GE shares';
datalines;
1935     33.1      1170.6     97.8

   ... more lines ...   

proc autoreg data=grunfeld;
   model gei = gef gec / nlag=1 dwprob;
   model gei = gef gec / nlag=1 method=uls;
   model gei = gef gec / nlag=1 method=ml;
run;

The printed output produced by each of the MODEL statements is shown in Output 8.2.1 through Output 8.2.4.

Output 8.2.5: Estimates of Autocorrelations